Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Asset 3
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Asset 4
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Asset 5
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Portfolio Analysis Results (Jan 2016 - Dec 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VT Vanguard Total World Stock ETF 40.00%
TLT iShares 20+ Year Treasury Bond ETF 20.00%
GLD SPDR Gold Shares 20.00%
QQQ Invesco QQQ Trust 10.00%
HQL Tekla Life Sciences Investors 9.00%
GBTC Grayscale Bitcoin Trust (BTC) 1.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VT Vanguard Total World Stock ETF 40.00%
VIRT Virtu Financial, Inc. 20.00%
GLD SPDR Gold Shares 20.00%
QQQ Invesco QQQ Trust 10.00%
HQL Tekla Life Sciences Investors 9.00%
GBTC Grayscale Bitcoin Trust (BTC) 1.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Portfolio 1$10,000$21,725 13.80% 9.77%27.22%-6.44%-9.29% 1.282.470.82
Portfolio 2$10,000$24,214 15.88% 11.96%36.02%0.40%-10.38% 1.222.460.65
Vanguard 500 Index Investor$10,000$25,926 17.21% 14.62%31.33%-4.52%-19.63% 1.101.761.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
Portfolio 14.62%9.04%9.04%20.40%15.44%13.80%10.95%9.97%
Portfolio 27.79%14.57%14.57%20.88%19.25%15.88%12.68%12.18%
Vanguard 500 Index Investor10.99%28.53%28.53%25.91%18.32%17.21%17.42%15.39%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
  • Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
  • A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
  • Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
  • The results assume quarterly rebalancing of portfolio assets to match the specified allocation.
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Vanguard 500 Index InvestorVanguard Total World Stock ETF (VT)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Invesco QQQ Trust (QQQ)Tekla Life Sciences Investors (HQL)Grayscale Bitcoin Trust (BTC) (GBTC)Virtu Financial, Inc. (VIRT)
ReturnBalanceReturnBalanceReturnBalance
20162.07%5.97%$10,5970.40%$10,04011.82%$11,1828.51%1.18%8.03%7.10%-19.53%93.10%-25.50%
20172.11%25.55%$13,30528.38%$12,89021.67%$13,60524.49%9.18%12.81%32.66%25.44%1,557.21%21.40%
20181.91%-6.44%$12,4486.34%$13,708-4.52%$12,989-9.76%-1.61%-1.94%-0.12%-14.41%-82.10%45.91%
20192.29%25.81%$15,66113.35%$15,53831.33%$17,05826.82%14.12%17.86%38.96%25.51%106.56%-34.95%
20201.36%27.22%$19,92436.02%$21,13518.25%$20,17116.61%18.15%24.81%48.40%23.80%290.72%64.23%
20217.04%9.04%$21,72514.57%$24,21428.53%$25,92618.27%-4.60%-4.15%27.42%5.70%7.03%18.60%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard 500 Index InvestorVanguard Total World Stock ETF (VT)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Invesco QQQ Trust (QQQ)Tekla Life Sciences Investors (HQL)Grayscale Bitcoin Trust (BTC) (GBTC)Virtu Financial, Inc. (VIRT)
ReturnBalanceReturnBalanceReturnBalance
20161-3.24%$9,676-4.31%$9,569-4.98%$9,502-5.87%5.57%5.41%-6.91%-23.18%-31.75%0.27%
201622.41%$9,9081.62%$9,724-0.15%$9,489-1.11%3.09%10.93%-1.57%-3.93%30.23%-0.63%
201633.77%$10,2823.67%$10,0826.78%$10,1317.98%-0.09%-0.84%6.85%5.65%-2.86%-0.90%
201641.63%$10,4490.63%$10,1460.37%$10,1691.01%-0.74%5.11%-3.19%3.90%31.80%-5.70%
201650.12%$10,462-2.55%$9,8871.78%$10,3510.65%0.81%-6.14%4.37%4.81%8.93%-13.41%
201662.96%$10,7711.83%$10,0680.25%$10,376-0.18%6.93%8.97%-2.27%-6.19%53.07%1.07%
201673.97%$11,1992.66%$10,3363.68%$10,7584.15%2.10%1.98%7.15%10.94%-20.54%-4.44%
20168-0.91%$11,097-1.43%$10,1890.13%$10,7720.35%-1.01%-3.26%1.05%-2.20%-13.68%-3.82%
201690.49%$11,152-0.69%$10,1190.01%$10,7730.79%-1.51%0.69%2.21%0.43%9.76%-8.22%
201610-3.15%$10,801-5.18%$9,595-1.83%$10,575-1.97%-4.38%-2.94%-1.46%-10.57%19.89%-14.50%
201611-2.25%$10,5581.18%$9,7083.70%$10,9661.19%-8.21%-8.36%0.44%7.58%-8.71%10.07%
2016120.37%$10,5973.43%$10,0401.96%$11,1821.81%-0.46%-1.91%1.13%-3.63%23.50%15.16%
201713.32%$10,9495.16%$10,5591.88%$11,3923.00%0.81%5.42%5.14%5.18%-10.81%10.03%
201723.18%$11,2972.87%$10,8623.96%$11,8442.69%1.59%3.18%4.38%7.15%6.00%0.22%
201730.90%$11,3990.60%$10,9270.10%$11,8561.48%-0.65%-0.43%2.03%3.25%0.97%-2.02%
201742.28%$11,6590.09%$10,9361.02%$11,9761.63%1.57%1.73%2.73%5.72%18.59%-9.41%
201754.28%$12,1585.33%$11,5191.39%$12,1431.95%1.89%-0.12%3.90%-1.65%251.53%7.42%
20176-0.52%$12,0950.85%$11,6170.61%$12,2170.63%0.79%-2.16%-2.32%5.52%-19.43%8.28%
201772.18%$12,3591.07%$11,7412.04%$12,4672.65%-0.66%2.31%4.06%3.41%7.69%-6.23%
201783.60%$12,8044.82%$12,3060.29%$12,5040.42%3.41%4.20%2.07%2.79%139.29%9.93%
20179-1.17%$12,654-2.62%$11,9842.06%$12,7612.11%-2.32%-3.37%-0.29%-1.10%-30.15%-9.75%
2017100.85%$12,761-1.67%$11,7832.32%$13,0572.11%-0.04%-0.75%4.61%-5.31%18.00%-12.65%
2017111.75%$12,9854.65%$12,3313.06%$13,4561.90%0.74%0.36%1.97%-4.91%83.62%16.89%
2017122.46%$13,3054.54%$12,8901.10%$13,6051.60%1.81%2.11%0.60%3.81%32.54%12.27%
201813.14%$13,7224.66%$13,4915.71%$14,3825.48%-3.26%3.23%8.76%4.13%-29.63%4.37%
20182-3.19%$13,2858.74%$14,671-3.69%$13,850-4.44%-3.04%-2.08%-1.29%-3.81%14.37%56.75%
20183-0.65%$13,1992.15%$14,987-2.56%$13,496-1.29%2.86%0.63%-4.08%-0.26%-41.17%11.11%
20184-0.18%$13,1752.06%$15,2950.37%$13,5470.42%-2.09%-0.95%0.51%-3.33%51.10%9.09%
201850.88%$13,292-2.32%$14,9402.39%$13,8710.57%2.01%-1.20%5.67%3.07%-22.52%-13.08%
20186-0.84%$13,180-3.74%$14,3820.61%$13,955-0.60%0.65%-3.61%1.15%2.35%-30.54%-14.49%
201871.32%$13,354-3.21%$13,9213.71%$14,4732.88%-1.44%-2.24%2.80%4.52%22.16%-24.11%
201881.26%$13,5232.52%$14,2723.25%$14,9430.86%1.31%-2.14%5.78%6.36%-8.83%9.37%
20189-0.88%$13,403-1.37%$14,0760.55%$15,0250.08%-2.86%-0.66%-0.28%-0.29%-16.42%-6.19%
201810-5.49%$12,668-1.70%$13,836-6.85%$13,996-7.82%-2.93%2.12%-8.60%-13.17%-15.11%15.99%
2018111.04%$12,8002.32%$14,1582.03%$14,2801.73%1.79%0.34%-0.26%2.21%-25.96%7.11%
201812-2.75%$12,448-3.18%$13,708-9.04%$12,989-7.22%5.85%4.94%-8.65%-14.58%-20.54%2.34%
201916.17%$13,2165.93%$14,5208.00%$14,0287.99%0.38%2.89%9.01%15.68%0.63%-0.82%
201921.40%$13,4011.54%$14,7443.20%$14,4772.82%-1.38%-0.61%2.99%2.20%11.78%-0.67%
201931.41%$13,591-0.62%$14,6521.94%$14,7581.06%5.57%-1.60%3.92%-2.34%7.17%-5.53%
201941.42%$13,7832.51%$15,0214.04%$15,3543.47%-1.99%-0.66%5.50%-4.14%38.28%3.49%
20195-0.98%$13,649-3.36%$14,516-6.36%$14,377-5.97%6.84%1.76%-8.23%-3.14%67.32%-5.37%
201966.56%$14,5445.38%$15,2987.03%$15,3886.37%0.95%8.00%7.59%8.43%36.80%-5.39%
20197-0.05%$14,537-0.19%$15,2691.43%$15,6070.00%0.26%0.01%2.33%-2.61%-9.85%-0.46%
201982.35%$14,879-2.29%$14,919-1.59%$15,359-2.10%11.04%7.91%-1.90%-3.23%-14.08%-12.18%
20199-0.63%$14,785-2.38%$14,5641.86%$15,6452.28%-2.68%-3.39%0.92%-2.64%-9.64%-12.98%
2019102.37%$15,1353.32%$15,0482.15%$15,9822.79%-1.11%2.56%4.38%5.23%5.00%3.67%
2019111.50%$15,3621.42%$15,2623.62%$16,5602.56%-0.41%-3.21%4.07%9.97%-13.94%-0.71%
2019121.94%$15,6611.81%$15,5383.01%$17,0583.45%-3.20%3.66%3.89%1.69%-14.42%-3.67%
202012.00%$15,9741.33%$15,745-0.05%$17,050-1.56%7.69%4.50%3.04%-5.05%33.09%4.38%
20202-2.40%$15,590-0.91%$15,601-8.24%$15,644-7.22%6.63%-0.64%-6.06%-1.74%-9.63%14.14%
20203-5.51%$14,731-4.39%$14,917-12.37%$13,709-14.76%6.38%-0.22%-7.29%-5.67%-27.72%10.69%
202048.96%$16,05111.17%$16,58312.81%$15,46610.37%1.22%7.26%14.97%13.75%38.62%12.25%
202053.73%$16,6494.60%$17,3454.76%$16,2015.21%-1.76%2.59%6.60%6.47%10.33%3.08%
202062.46%$17,0592.13%$17,7141.98%$16,5213.07%0.34%2.74%6.28%0.90%-11.80%-1.05%
202076.21%$18,1186.34%$18,8365.63%$17,4515.29%4.44%10.79%7.35%-0.28%33.42%5.08%
202082.66%$18,5994.66%$19,7147.18%$18,7046.01%-5.05%-0.32%10.94%1.89%5.58%5.12%
20209-2.90%$18,061-5.14%$18,700-3.81%$17,991-2.92%0.77%-4.17%-5.78%-1.40%-18.92%-10.92%
202010-1.85%$17,727-2.59%$18,216-2.67%$17,510-2.05%-3.39%-0.52%-3.04%-3.87%40.20%-7.08%
2020117.15%$18,9958.35%$19,73710.94%$19,42512.37%1.66%-5.41%11.23%13.05%50.81%7.72%
2020124.89%$19,9247.08%$21,1353.84%$20,1714.94%-1.23%7.01%4.90%5.72%37.97%10.44%
20211-1.10%$19,7041.69%$21,492-1.02%$19,965-0.23%-3.63%-3.22%0.26%2.78%8.41%10.33%
20212-0.54%$19,5980.36%$21,5702.75%$20,5152.67%-5.73%-6.26%-0.13%5.01%24.53%-0.94%
20213-0.16%$19,5673.75%$22,3784.37%$21,4112.85%-5.24%-1.14%1.71%-5.65%15.83%13.86%
202143.75%$20,3012.34%$22,9025.32%$22,5514.13%2.49%3.56%5.91%4.01%-6.37%-4.57%
202151.66%$20,6382.35%$23,4390.69%$22,7061.58%0.00%7.68%-1.20%-0.75%-35.50%3.58%
202161.10%$20,865-1.51%$23,0862.31%$23,2301.18%4.42%-7.15%6.26%7.58%-1.36%-9.26%
202171.68%$21,215-0.43%$22,9862.38%$23,7820.62%3.72%2.53%2.86%-2.99%16.52%-6.84%
202181.95%$21,6281.32%$23,2903.03%$24,5022.26%-0.34%-0.08%4.22%7.10%8.74%-3.96%
20219-3.99%$20,765-3.54%$22,464-4.66%$23,360-4.10%-2.91%-3.22%-5.68%-4.81%-10.38%-0.20%
2021104.30%$21,6584.18%$23,4036.99%$24,9935.15%2.46%1.48%7.86%2.26%46.79%1.84%
202111-1.13%$21,4141.11%$23,662-0.71%$24,817-2.62%2.77%-0.69%2.00%-6.72%-6.98%14.23%
2021121.45%$21,7252.33%$24,2144.47%$25,9263.81%-2.01%3.30%1.15%-0.93%-25.90%2.31%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value5.66%45.03%
Large-cap Growth29.98%54.80%
Mid-cap Value0.00%0.00%
Mid-cap Growth3.19%0.00%
Small-cap Value0.00%0.17%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets14.11%0.00%
Emerging Markets15.12%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries28.70%0.00%
Intermediate-Term Treasuries3.24%0.00%
Short-Term Treasuries0.00%0.00%
R Squared91.84%99.94%
Style analysis is based on monthly returns from January 2016 to December 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VTVanguard Total World Stock ETFGlobal Large-Stock Blend40.00%2.44%0.07%0.07%14.78$5,09549.82%
TLTiShares 20+ Year Treasury Bond ETFLong Government20.00%4.17%2.56%0.15%0.15%17.15$1,0153.84%
GLDSPDR Gold SharesCommodities Focused20.00%0.40%0.40%$1,47913.46%
QQQInvesco QQQ TrustLarge Growth10.00%0.79%0.71%0.20%0.20%23.63$2,16314.06%
HQLTekla Life Sciences InvestorsHealth9.00%1.66%1.66%12.30$71513.46%
GBTCGrayscale Bitcoin Trust (BTC)Digital Assets1.00%2.00%2.00%$1,2575.36%
100.00%0.91%1.56%0.33%0.33%15.9017.15$11,725100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
VTVanguard Total World Stock ETFGlobal Large-Stock Blend40.00%2.44%0.07%0.07%14.78$5,30431.80%
VIRTVirtu Financial, Inc.Financial Services / Capital Markets20.00%4.31%$3,14438.44%
GLDSPDR Gold SharesCommodities Focused20.00%0.40%0.40%$1,5107.95%
QQQInvesco QQQ TrustLarge Growth10.00%0.79%0.71%0.20%0.20%23.63$2,2539.01%
HQLTekla Life Sciences InvestorsHealth9.00%1.66%1.66%12.30$7478.47%
GBTCGrayscale Bitcoin Trust (BTC)Digital Assets1.00%2.00%2.00%$1,2564.32%
100.00%0.08%1.91%0.37%0.37%15.90$14,214100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/25/2022. (c) 2022 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.12%1.29%1.42%
Arithmetic Mean (annualized)14.33%16.68%18.44%
Geometric Mean (monthly)1.08%1.24%1.33%
Geometric Mean (annualized)13.80%15.88%17.21%
Standard Deviation (monthly)2.82%3.45%4.22%
Standard Deviation (annualized)9.77%11.96%14.62%
Downside Deviation (monthly)1.42%1.66%2.60%
Maximum Drawdown-9.29%-10.38%-19.63%
Stock Market Correlation0.820.651.00
Beta(*)0.550.531.00
Alpha (annualized)4.12%6.46%0.00%
R267.32%42.25%100.00%
Sharpe Ratio1.281.221.10
Sortino Ratio2.472.461.76
Treynor Ratio (%)22.8327.4316.10
Calmar Ratio2.622.751.32
Active Return-3.40%-1.33%N/A
Tracking Error8.65%11.38%N/A
Information Ratio-0.39-0.12N/A
Skewness0.070.27-0.57
Excess Kurtosis0.41-0.041.83
Historical Value-at-Risk (5%)-3.21%-3.99%-6.58%
Analytical Value-at-Risk (5%)-3.51%-4.43%-5.52%
Conditional Value-at-Risk (5%)-4.56%-4.75%-9.13%
Upside Capture Ratio (%)62.0561.80100.00
Downside Capture Ratio (%)45.7230.09100.00
Safe Withdrawal Rate22.78%23.21%24.19%
Perpetual Withdrawal Rate9.69%11.31%12.31%
Positive Periods47 out of 72 (65.28%)47 out of 72 (65.28%)55 out of 72 (76.39%)
Gain/Loss Ratio1.461.340.76
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Vanguard 500 Index Investor
COVID-19 StartJan 2020Mar 2020-7.78%-5.26%-19.63%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-9.29%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-7.78%
3Aug 2016Nov 20164 monthsFeb 20173 months7 months-5.72%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-4.69%
5Sep 2021Sep 20211 monthOct 20211 month2 months-3.99%
6Jan 2016Jan 20161 monthMar 20162 months3 months-3.24%
7Jan 2021Mar 20213 monthsApr 20211 month4 months-1.79%
8Sep 2017Sep 20171 monthNov 20172 months3 months-1.17%
9Nov 2021Nov 20211 monthDec 20211 month2 months-1.13%
10May 2019May 20191 monthJun 20191 month2 months-0.98%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2018Dec 20188 monthsJun 20196 months1 year 2 months-10.38%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-7.60%
3Aug 2016Oct 20163 monthsJan 20173 months6 months-7.17%
4Feb 2020Mar 20202 monthsApr 20201 month3 months-5.26%
5Jul 2019Sep 20193 monthsDec 20193 months6 months-4.79%
6Jan 2016Jan 20161 monthMar 20162 months3 months-4.31%
7Sep 2017Oct 20172 monthsNov 20171 month3 months-4.25%
8Jun 2021Sep 20214 monthsNov 20212 months6 months-4.16%
9May 2016May 20161 monthJul 20162 months3 months-2.55%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
4May 2019May 20191 monthJun 20191 month2 months-6.36%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
6Jan 2016Feb 20162 monthsMar 20161 month3 months-5.11%
7Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
8Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
9Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%
10Jan 2021Jan 20211 monthFeb 20211 month2 months-1.02%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
VTVanguard Total World Stock ETF13.45%14.43%26.82%-9.76%-22.15%0.881.350.97
TLTiShares 20+ Year Treasury Bond ETF5.74%12.10%18.15%-4.60%-20.09%0.450.76-0.30
GLDSPDR Gold Shares9.09%14.17%24.81%-4.15%-15.02%0.621.110.03
QQQInvesco QQQ Trust24.53%16.74%48.40%-0.12%-16.96%1.342.490.90
HQLTekla Life Sciences Investors6.01%22.45%25.51%-19.53%-26.20%0.330.480.70
GBTCGrayscale Bitcoin Trust (BTC)91.60%145.60%1,557.21%-82.10%-82.10%0.902.810.15
VIRTVirtu Financial, Inc.8.95%38.47%64.23%-34.95%-52.13%0.370.67-0.10

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 yearNetGross
Vanguard Total World Stock ETF6.30%18.27%18.27%20.48%14.46%0.07%0.07%
iShares 20+ Year Treasury Bond ETF3.18%-4.60%-4.60%8.75%6.68%0.15%0.15%
SPDR Gold Shares4.10%-4.15%-4.15%12.13%9.30%0.40%0.40%
Invesco QQQ Trust11.29%27.42%27.42%37.99%28.34%0.20%0.20%
Tekla Life Sciences Investors-5.50%5.70%5.70%17.99%12.01%1.66%1.66%
Grayscale Bitcoin Trust (BTC)1.18%7.03%7.03%105.18%91.30%2.00%2.00%
Virtu Financial, Inc.19.02%18.60%18.60%8.21%17.55%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTTLTGLDQQQHQLGBTCVIRTPortfolio 1Portfolio 2Vanguard 500 Index Investor
VTVanguard Total World Stock ETF1.00-0.300.080.870.690.17-0.120.840.660.97
TLTiShares 20+ Year Treasury Bond ETF-0.301.000.43-0.16-0.180.09-0.080.15-0.12-0.29
GLDSPDR Gold Shares0.080.431.000.05-0.110.110.070.460.340.05
QQQInvesco QQQ Trust0.87-0.160.051.000.680.16-0.070.820.650.90
HQLTekla Life Sciences Investors0.69-0.18-0.110.681.000.03-0.090.650.500.68
GBTCGrayscale Bitcoin Trust (BTC)0.170.090.110.160.031.000.150.360.360.15
VIRTVirtu Financial, Inc.-0.12-0.080.07-0.07-0.090.151.00-0.070.60-0.10

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTVanguard Total World Stock ETF$5,095$5,304
TLTiShares 20+ Year Treasury Bond ETF$1,015
GLDSPDR Gold Shares$1,479$1,510
QQQInvesco QQQ Trust$2,163$2,253
HQLTekla Life Sciences Investors$715$747
GBTCGrayscale Bitcoin Trust (BTC)$1,257$1,256
VIRTVirtu Financial, Inc.$3,144
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTVanguard Total World Stock ETF49.82%31.80%
TLTiShares 20+ Year Treasury Bond ETF3.84%
GLDSPDR Gold Shares13.46%7.95%
QQQInvesco QQQ Trust14.06%9.01%
HQLTekla Life Sciences Investors13.46%8.47%
GBTCGrayscale Bitcoin Trust (BTC)5.36%4.32%
VIRTVirtu Financial, Inc.38.44%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year14.61%32.83%-6.44%18.43%50.02%-2.84%17.78%56.19%-7.11%
3 years12.98%20.40%7.57%15.47%20.88%10.93%14.22%25.91%4.96%
5 years14.46%15.44%13.24%17.98%19.52%16.14%17.10%18.77%15.07%